Results 31 to 40 of about 30,951 (222)

Semi-analytic pricing formulas for basket credit-linked notes with and without counterparty risks

Systems Science & Control Engineering, 2020
This paper discusses the pricing of basket credit linked notes (BCLN) under the reduced model. Three types of BCLNs are discussed: the first, the second and the mth-to-default BCLNs with and without counterparty risks.
Yongzeng Lai, Junmei Ma, Xuan Yang, Xiaomei Zhang   +3 more
doaj   +1 more source

Pre-Settlement Risk Limits for Non-Financial Counterparty in the Polish Over-the-Counter Derivatives Market

Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia, 2023
Theoretical background: The 2008/2009 financial crisis, the COVID-19 pandemic outbreak in 2020 or the Russian invasion of Ukraine in February 2022, all these affected market volatility causing greater interest in counterparty credit risk (CCR) management
Piotr Wybieralski
doaj   +1 more source

Risks of collective investment undertakings in the context of global capital markets [PDF]

SHS Web of Conferences, 2020
In the context of globalization, international institutional investors have taken over a significant proportion of global investment assets. Among this group also belong to collective investment undertakings whose primary motive is regulated by ...
Pfeiferová Daniela, Kuchařová Ivana
doaj   +1 more source

Credit Valuation Adjustment Compression by Genetic Optimization

Risks, 2019
Since the 2008−2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications.
Marc Chataigner, Stéphane Crépey
doaj   +1 more source

Counterparty Risk Subject to ATE [PDF]

SSRN Electronic Journal, 2012
Rating trigger ATE (Additional Termination Event) is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level. Since credit default is often preceded by rating downgrades, ATE clause effectively reduces the counterparty credit risk by ...
openaire   +2 more sources

Funding Costs and Liquidity Creation: Does ESG Play Any Role?

Business Strategy and the Environment, EarlyView.
ABSTRACT This study examines how banks' funding costs affect liquidity creation and whether environmental, social, and governance (ESG) performance shapes this relationship. Using panel data for 136 U.S. commercial banks from 2005 to 2022, we show that higher funding costs are associated with lower liquidity creation, indicating that more expensive ...
Sattam Bin Kowibeen, Ashraf Khan, M. Kabir Hassan   +2 more
wiley   +1 more source

Modelling Counterparty Credit Risk in Czech Interest Rate Swaps

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017
According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
doaj   +1 more source

Climate Change Risk and Financial Stability: Implications for European Banking Institutions

Business Strategy and the Environment, EarlyView.
ABSTRACT This study examines whether climate change risk weakens banking‐system stability in the European Union and assesses how renewable energy adoption and energy‐related taxation moderate this relationship. Using panel data for 27 EU countries from 2012 to 2022 and applying fixed‐effects OLS, two‐stage least squares (2SLS), and robust generalized ...
Md Yousuf Ali
wiley   +1 more source

Changes in repo markets and the necessity for CCPs in Korea [PDF]

Seonmul yeongu
In 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets.
Sun-Joong Yoon
doaj   +1 more source

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? [PDF]

, 2013
We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs.
Brigo, Damiano, Pallavicini, Andrea
core   +1 more source